The Byron Chronicles - a world with magic, mythical beasts, pissed off supernatural beings. It has a Lovecraftian Steampunk vibe and the lead character Byron reminds me of Vash the Stampede in the sense that he jokes in the face of danger but when a topic hits too close to home he will straighten up and get the job done. Early in The Byron Chronicles there are some cheap sound effects and some lame character voices, but I think it's definitely worth a chance. Near the close of season 1 is when I was really drawn in to the story.
After reading the recommendations made in this thread it appears The Leviathan Chronicles and Wormwood are next on my list. Thanks to all who share!
!!!And THANK YOU We're Alive FOR INTRODUCING ME TO THE WORLD OF AUDIO DRAMA!!!